ISDA-Clarus RFR Adoption Indicator: December 2021

The ISDA-Clarus RFR Adoption Indicator increased to an all-time high of 31.7% in December compared to 26.3% the prior month. The indicator tracks how much global trading activity (as measured by DV01) is conducted in cleared over-the-counter and exchange-traded interest rate derivatives (IRD) that reference the identified risk-free rates (RFRs) in six major currencies. On a traded notional basis, the percentage of RFR-linked IRD comprised 20.8% of total IRD in December compared to 17.7% the prior month.

Key highlights for December 2021 include:

  • RFR-linked IRD DV01 decreased to $8.5 billion from $9.0 billion the prior month.
  • Total IRD DV01 transacted decreased to $26.7 billion from $34.4 billion the prior month.
  • RFR-linked IRD traded notional decreased to $25.2 trillion from $29.7 trillion the prior month.
  • Total IRD traded notional transacted decreased to $121.1 trillion from $168.0 trillion the prior month.
  • The percentage of trading activity in SOFR reached 25.3% of total USD IRD DV01 transacted in December compared to 19.2% the prior month.
  • JPY saw the largest percentage of RFR-linked IRD trading activity, totaling 88.5% of total JPY IRD DV01.
  • JPY had the highest percentage of RFR-linked IRD DV01 executed as transactions with tenors longer than two years.

To access interactive charts and export the data, click here.

A whitepaper on the methodology is available here.

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